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if you look at WTI crude future on NYMEX vs. on ICE. often times you see the bid of one exchange > the ask of the other exchange. Is that a good arb opportunity? Thank you!

How do I get USDA and Informa reports? Any other good fundamentals stuff that I should get in order to trade to win?

I can ask for any good services...

I have Bloomberg and Reuters, but I don't have USDA and Informa... Is there a way to find those info such as stock - use and USDA and Informa etc. on my Bloomberg and Reuters? Thanks!

Thanks and could you please elaborate on "synthetic settlement prices for Cotton when it goes limit up or down"?

I searched on the theice.com website, but couldn't find the official settle time for ICE-US-softs? I am looking for the settle times of Coffe, Cocoa, Sugar, Cotton, OJ, etc. Thank you!

Hi all, I've read some threads about stops in trading systems... What stops do you favor? Trailing stop based on percentage off the peak, profit target stop, fixed stop, etc.? I am talking about systematic trading... Thank you!

Hi all, I've read the heated discussion in the trend-following thread below and I have two questions: 1. Is there a way to judge the trend-friendliness of a security programmatically? How to quantify this "trend-friendliness"? Of course, I guess this is based on historical data and...

8 losers in a row now. The previous backtest shows out of all those losing days consecutive runs, there is only < 2% that are 8 losing days in a row. It's a common trend-following system with winner traders % > 40%. But shall I believe the backtest and maybe the markets have changed...

Thanks! So you optimize w.r.t. Calmar ratio or Sharpe Ratio or Sortino Ratio?

Dude, I am losing serious money...

Oh I am testing futures... so the notional scalability for me is an arbitrary number... I agree "so dont add a historically biased rule to clean up the occasional mess..." but where is the fine-line there I am not sure...

oh thanks for pointing that out. (annualized rate of return / max drawdown) is exactly what I have been referring to... sorry for the confusion...

Hi all, I have an existing system that's losing money 6 days in a row recently... What can I do about it? I experimented with a new stop mechanism. It adds two parameters to the system, one is the threshold, the other is the window size. Of course it improved the system, but it only...

Hi all, I am backtesting some strategies based on OPEN prices in commodity futures... My collaborators don't like OPEN because they say we cannot trade on OPEN... Is that true? Any thoughts? Thanks a lot!

Hi all, I am currently using closing prices for strategy backtests. Any thoughts about the use of intraday data to aid generating signals or at least using OPEN/HIGH/LOW data? I also backtested some commodity futures strategies based on OPEN, but my collaborators said OPEN prices are...

But I am a newbie had no prior experience at all... Any more thoughts?

Hi all, I have a system that's losing a lot of money recently. I considered adding a rule to the system, which is much like "circuit-break" or dynamic risk reduction when things go crazy. The change adds 2 parameters to the system. It improves Sharpe ratio marginally, but it...